Clive W.J. Granger – Autobiography
I
was born in Swansea in the Principality of Wales in September 1934 and named Clive
William John Granger. The "William John" names were traditional Granger boy's
names and my mother liked the name Clive because some popular musician at the
time had it. My father, Edward John Granger, and with his wife Evelyn (both English)
left Wales with me when I was about one year old to go to Lincoln in Eastern England.
He was a commercial traveler for a well respected firm called Chivers that made
jams, marmalades, jellies, and so forth. He traveled around whatever area he was
directed to by the company and took orders for the products from wholesalers and
individual grocers. My memory of Wales
in this early period is non-existent but
it did qualify me to play rugby for Wales, if I had been good enough. I did not
get the Welsh ability to sing, unfortunately.
I can remember
little about Lincoln except for the night of September 3, 1939, when war was declared
and everyone cried. At about ten p.m. the air raid warning sirens went off and
we all huddled nervously under the kitchen table. Of course, I now realize that
the probability of a Nazi bomber flying over Lincoln on the first day of the war
was extremely slight; it was just a wakeup call for the English people that a
real war was upon them.
A year or so later my father
went off to war to serve as a driver of large support vehicles for the Royal Air
Force, first in the south of England and later in North Africa. My mother had
three brothers serving in the forces, but we were a fortunate family as they and
my father all returned unhurt. Whilst my father was away my mother and I moved
to Cambridge to stay with her mother, who was a very short, fierce woman who had
brought up many children and had a very strong personality. She was a professional
cook and could make a great meal out of almost nothing, a worthwhile ability during
the shortages of the war. Earlier in her career she had cooked for gentry and
it was said that she once cooked for Queen Victoria. When she was just starting
out she had worked as a very junior cook at Windsor Castle and her two sons had
played with the princes Edward and George, both later Kings of England. Later
we moved across Cambridge to stay with my father's parents. My grandfather repaired
shoes in his own shop and sold shoes in a successful small business. I went to
a local primary school, did well in mathematics but not much else. A teacher told
my mother that "I would never become successful," which illustrates the difficulties
of long-run forecasting on inadequate data.
At the age
of 11 I passed the necessary exams and was accepted by the Cambridgeshire High
School for Boys, where I performed fairly well but showed no particular ability.
The headmaster was Mr. Newton-John, who later moved to Australia and had a famous
daughter, Olivia.
At this stage of my life I had largely
drifted through, just taking things as they came. I had no clear-cut ambition
or long-term plan, and that policy has generally continued. My career has largely
been determined by a sequence of "lucky breaks," which will be discussed below.
Lucky
break #1
My first lucky break was in 1946 when my father returned from
the war and his job took him to Nottingham. He bought a nice house in a middle-class
suburb called West Bridgeford and I would cycle many miles each day to and from
the Grammar School, which was middled sized. At the end of the fifth form, the
year when most of the students left and entered the job market, I asked my friends
what they planned to do, and they all decided to stay on into the sixth-form,
which prepares you for the A-level exams and possible entry to college. Until
that time I had never considered going to university, I had expected to leave
school at sixteen and work in a bank or an insurance company. My father was very
supportive, even though my staying at school would be a drain on his finances.
Sixth-form takes two years and I concentrated on Pure Mathematics, Applied Mathematics,
and Physics. A decisive event took place, I believe, towards the end of the first
year. In one of the classes we all had to stand up and state our planned career.
By then I realized that I was quite good at mathematics, but I did not want a
career in it, which I thought of as being a school teacher. I preferred to use
mathematics in some practical fashion and thought that meteorology sounded promising.
In those days I stuttered somewhat and when my turn came to stand up, I tried
to say "meteorology" but found I could not get the word out, so I just said "statistics,"
thereby determining my future path.
It so happened that
a particular strength at the West Bridgeford Grammar School was the quality of
the mathematics teachers. Mr. Bradshaw and Mr. Midgley were both very well trained
and I was told they had firsts at Oxford and/or Cambridge. They were still very
enthusiastic about the subject and were very able to pass on this enthusiasm and
their knowledge to the students. The fact that our sixth-form produce several
First Class Degrees, several Ph.D's, and at least four Professors is largely due
to this strong background in mathematics.
Lucky break
#2
Applying to universities was a difficult process in those days as
quite a small percentage of British youth went to university. Finding suitable
courses that also had available places was not easy. However, I was told that
the University of Nottingham was just starting the first joint degree in Mathematics
and Economics which sounded ideal for my interests, so I applied and was quickly
accepted. As far as I could tell, I was the first person anywhere in my family
tree to go to university.
My courses in the first year
at Nottingham were one third economics consisting of micro and national accounts
taught by André Gabor and Brian Tew, with a lot of ability and enthusiasm. I also
took large doses of pure and applied mathematics. To my delight I found pure mathematics
not so difficult because of my training at Grammar School. At the end of the first
year I switched to a Mathematics Degree and I eventually obtained my First. My
only formal training in economics was in the first year where I attempted to reformulate
what I was being taught in pure mathematical terms, but was usually unsuccessful.
Lucky
break #3
On completing my degree I started a Ph.D. in statistics, although
I knew very little about the topic. My supervisor was Professor Harry Pitt, who
was an excellent pure mathematician and probabilist. He taught me by going through
Harold Cramer's book on Mathematical Statistics which is very good text but makes
no mention of data. I needed to find a thesis topic and I wanted something of
relevance to economics. I went to our university library and found that they had
only one book on Economic Time Series by H.T. Davis. I thought that this was both
an appropriate topic and also that there must be plenty of opportunities, as there
were so few books in the area. I still think that my judgement, made at the age
of 22, was correct.
Lucky break #4
The next
structural break in my life occurred after I had been doing research for just
six months. As background, it is important to know that this was a time when British
universities were expanding rapidly, particularly in certain fields which included
statistics. Nottingham had received funding for a junior lecturer in statistics
and advertised the position, but were embarrassed by having only a single applicant,
even though he was from Cambridge and was very well qualified. The professors
of the Mathematics Department asked me to apply and my initial reaction was to
say no to the idea as I was not qualified and knew that I had little understanding
of the area. They responded that I would not get the position anyway but it would
be good experience for me to go through with the interview and be helpful to them,
so how could I refuse? The selection committee was chaired by the Vice-Chancellor
along with about fifteen full professors. The Vice-Chancellor and I had fought
over certain undergraduate topics the previous year and my position had prevailed,
so I knew for certain that did not help my chances of getting the job. As I knew
that I would not get the position I was not at all nervous, and the Vice-Chancellor
started the proceedings by making a kind remark about our previous battles and
I actually enjoyed the interview. The other candidate came before the committee,
got into a strong fight with the Vice-Chancellor, and did not make a good impression.
The result was that I got the job. I was just 23 when I started the position in
1956 with what had to be a record low knowledge of statistics and no established
teaching ability. What made it more difficult was that some of the students, returning
from Army service (sometimes with battle experience) were older than me and had
strong ambitions to learn and to get on with their life. I always found it difficult
to accept that they should call me "sir."
One advantage
was that I was the only person in the university calling himself a "statistician,"
so that I was visited by workers from many fields (geography, history, psychology,
chemistry, and economic history) asking me questions. Each data set presented
unique problems and being confronted with them provided excellent training for
a young statistician that many beginners would not get these days with such emphasis
on specialization. I even got a few publications from these studies. An even better
outcome came from my work with Professor David Chambers, a good economic historian
who would often send his research assistant, Patricia, over to ask me questions.
She said "yes" to the right one from me and we were married in 1960, which is
a significant part of "Lucky Break #4."
In 1959 I obtained
a Ph.D. on "Testing for Non-stationary" and applied for a Harkness Fellowship
of the Commonwealth Fund. Apparently the Harkness family made a fortune selling
saddles and leather wear for horses at the turn of the twentieth century but realizing
that that industry may have a limited future, they lent a large sum of money to
a friend called Rockefeller, who was having a problem with his oil company. From
that investment the family became extremely wealthy, but died out in the mid-century,
leaving large funds to various good projects, mostly medical research. Part of
the funds went to the Harkness Fellowships, which were for about twenty young
people from the United Kingdom, Australia, and New Zealand, mostly from academic
subjects but also included artists, writers,
and film makers. Each could spend
either one or two years in the United States at any location they chose, being
given sufficient funds to support themselves. In addition they had to agree to
spend one month traveling around the country in December and three further months
in the summer, again with all expenses paid.
Lucky
break #5
I wrote to many major universities and had two positive responses,
one from the Cowles' Commission at Yale, and the other from Morgenstern's Econometric
Research Project at Princeton. As Oscar Morgenstern asked me to join his new "Time
Series Project" I accepted with enthusiasm for a one year period. Getting the
Harkness was certainly a lucky break as the fellowships were highly competitive
and rarely went to candidates outside Oxford or Cambridge, and I was especially
fortunate to go to Princeton.
When I arrived I found
that the "Time Series Project" consisted of myself and Michio Hatanaka, an excellent
econometrician who had recently finished a book on "Input-Output Analysis." He
had done the calculations on the original Von Neumann computer at the Institute
for Advanced Studies, which is a story in itself. However, Morgenstern had a specific
project for us. His close friend, J. Von Neumann, a truly great mathematician,
had told him that economists should be using the Fourier methods with their data,
so Morgenstern had organized with John Tukey, a very famous Princeton statistician,
to teach us how to do that. Tukey has a distinctly original way of teaching. We
provided the data, he would describe what calculations he wanted us to do on the
computer, Michio would do the programming and produce the results, and I would
write mathematically what we were doing. John Tukey would then interpret the results
and suggest a new set of calculations. This continued weekly for most of the academic
year, by which time we had learnt a lot about filtering, the spectrum for a single
series, and the cross-spectrum for a pair of series. This last topic was one that
Tukey has been working on and was totally new. Michio and I realized that we had
enough material for a book but we told John Tukey that we could not try to publish
until he published his results. He said he was far too busy doing new research
to publish, and that we should just go ahead, which we did. The book "Spectral
Analysis in Economic Time Series" by Michio and myself appeared from Princeton
University Press in 1969 and sold over three thousand copies, much to everyone's
surprise. We tried to dedicate the book to Morgenstern and Tukey, but they would
not allow it.
At the end of my academic year at Princeton,
Pat and I were married in the Princeton University Chapel and we used the Harkness
funds to finance a trip around the United States as an extended camping trip and
honeymoon. After twelve thousand spectacular miles we still liked each other and
I had acquired a beard.
I returned to Princeton the next
two summers to work on stock market data. Two papers appeared in the journal Granger farm Clive - gallery W.J. sex sex Clive farm W.J. Granger gallery - Clive videos dvds - Granger facesitting W.J. rape Clive Granger - naughty lingerie erotic W.J. Granger rape asia Clive W.J. - ØÐÑ Clive - Øêàô W.J. Granger Lanos âíåøíèé Clive - òþíèíã Niva Chevrolet Granger W.J. Kyklos,
on testing the random walk theory using spectral methods. In one of these, with
Mike Godfrey and Oscar Morgenstern, we claimed the first published diagram in
economics that was generated by a computer. It appeared in a cathode ray tube
and was then photographed. During this period, in 1963, I wrote a very short paper
on "The Typical Spectral Shape of An Economic Model." It was quickly submitted
to Econometrica where it was accepted two years later with no referee reports,
and essentially published three and a half years after submission. It has been
cited often and I learned that a simple observation is enough to produce a successful
paper, but you need patience with its appearance. I also published my second book,
on commodity markets, written with Walt Labys, who left Harvard to study with
me in Nottingham. A book with Morgenstern on the stock market and the one with
Labys both appeared in 1970.
During this period I was
also involved with André Gabor on some practical price research. To get data to
test our theories and estimate models, we arranged with local supermarkets to
conduct experiments in which we altered prices of popular products and recorded
the change in sales. I believe that more economic micro-theory could be better
tested by doing real world experiments rather than believing such an approach
is impossible.
Lucky break #6
Around this
time I thought that I should try to find a new line of research. In 1968 George
Box and Gwilym Jenkins sent an advanced copy of their book "Time Series Analysis,
Forecasting and Control" (published in 1970) and asked me for comments. I realized
that I knew very little about forecasting and nothing about control. I decided
that forecasting had great potential and applied for a grant to get a post-doctoral
student to join me. The application was successful and I advertised around the
world. I was rather surprised to get only one application, from Paul Newbold -
a student of George Box, but one is all you need if the applicant is ideal. We
were compatible, with a lot of common knowledge, but we had each been trained
quite differently. He also proved to be a good writer, having received a good
British education. Together we started a five year period of intense research,
mostly on forecasting, leading to the publication of our book "Forecasting Economic
Time Series" (Academic Press, 1976, second edition, 1986) which was widely used
internationally in graduate courses.
During this period
Paul and I conducted a small simulation study showing that if you take a pair
of smooth, "highly autocorrelated" time series that are independent and put them
into an ordinary least squares (OLS) regression, a surprisingly large number of
times an incorrect, spurious, relationship is suggested by the standard statistical
procedure. As many major economic publications used this type of analysis a lot
of reconsideration of previous results had to be reconsidered. The size of the
simulation was quite substantial at the time (1974) but would now be laughable.
It shows that the usefulness of the result of a computer exercise depends on the
quality of the question asked rather than the amount of computing undertaken.
Lucky break #7
In 1973 I was offered a professorship at the University
of California, San Diego. Although I was certainly not unhappy at Nottingham,
I had been there over twenty years from starting undergraduate studies to Professor
of Applied Statistics and Econometrics and I thought that a change of scene was
worth considering. We first decided to go for five years to see if we enjoyed
California. We arrived in San Diego in August 1974 and several friends wrote advising
me "not to retire," meaning do not spend all my time enjoying the sun and sand.
By now the family consisted of Pat and myself, plus our children Mark William
John, then aged ten and our daughter Claire Amanda Jane, aged six. They both eventually
got their undergraduate degrees from California universities. Mark became a computer
software developer and some of his earlier work was included in a movie that starred
a future governor of California. Claire obtained her MA from Stanford in Molecular
Biology and is now a science writer.
When I joined the
Department of Economics at UCSD the theory group was already very strong but I
was the only active research econometrician, although Paul Newbold came for the
first year as a visitor to finish our book. That was soon to change.
Lucky
break #8
In 1975 I was on a committee in Washington, DC chaired by Arnold
Zellner. It discussed the organization of a
conference on seasonal adjustment.
Robert Engle, then at MIT, was on the same committee and during a break asked
if I knew anywhere looking for a time series econometrician. I said that we were,
so he visited, liked what he saw, and joined us. A year or so later Hal White
came for a six month visit from Rochester, decided that we had the better climate,
and accepted an offer. That is how a world ranked (top three) econometric group
is formed. Take three active workers who interact, mix in a group of good students,
and later add Jim Hamilton, Graham Elliott, and Allan Timmermann, and in under
thirty years you produce a couple of Nobel Prizes, at least.
The
students come from all over the world, and some started getting positions at good
universities, which attracted further excellent students to us. If I start naming
the better students I will only disappoint those that I leave out as there are
so many that deserve mention. We claim to not only get good students, but also
to have a particularly high value added.
Over the years
we worked on a variety of questions including seasonal adjustment, aggregation,
and several new types of time series models. These included the fractionally integrated
model, done with Roselyn Joyeux, which has a so-called "long-memory property"
and provided a discrete-time form of a continuous time model discussed by Benoit
Mandelbroit. This whole area has resulted in a lot of interest by statisticians.
Also considered was a variety of nonlinear models, including the bilinear model
which produced a small book with an Australian visitor, Allan Anderson. Here the
mathematics proved of interest but the models do not seem to be of great practical
importance in economics. I also observed that a series could be serially uncorrelated
but could still be forecast, nonlinearly, from its past. This produced a paper
on "forecasting white noise" which produce reactions of surprise from those who
thought the economic series were necessarily multivariate Gaussian processes.
One observation that comes from this work was that squares of white noise series
were not always white noise. I discussed this with Rob Engle and it might just
have been the rolling pebble that much later produced the avalanche known as ARCH.
Rob returned from a year at LSE with the ARCH model which we discussed frequently.
As I was on the committees of his many students in the area I learnt a lot about
its development.
One of the benefits of joining an American
university was the availability of sabbatical leaves plus long summer breaks when
one could travel. The family made good use of these opportunities, plus some nice
requests, and we spent lengthy periods at Oxford (Nuffied and All Souls), Cambridge
(Trinity), Australian National University (Canberra), Aarhus (Denmark), and Victoria
University (Wellington, New Zealand). At the last of these we had a splendid view
of Haley's Comet, especially as the
city shut off all the street lights for a
couple of hours each night.
I find that traveling is
usually enjoyable and certainly broadening both in general knowledge and also
through cross-fertilization of ideas. Over my career I have visited over thirty
countries.
Lucky break #9
The discovery,
or invention, of cointegration was discussed in my Nobel Lecture and was a direct
result of talking with a scholar from another university. It has an even bigger
impact that causality, but cointegration was much less controversial and had more
important applications.
The original theory of cointegration
was from linear processes whereas causality theory had no such constraints. In
1993 Timo Teräsvirta and I wrote an overview of the field of nonlinear time series
in economics which appears to have been helpful to people entering the field.
This book appeared in the "Advanced Texts in Econometrics" series published by
Oxford University Press. This series was edited by Grayham Mizon and myself, and
was suggested by Andrew Schuler. Grayham and I agreed to edit the series provided
that the books would be issued in both hard cover and paperback versions, and
this seems to have been a successful strategy.
One of
my latest projects involved analysis of a panel of data on the economy of regions
in the Brazilian Amazon based on data collected every five years. The project
was concerned with the dynamics and economics of the deforestation process going
on in the Amazon forest which covers a huge area. With the help of a one year
NSF grant a group was assembled which included Diana Weinhold (a former student)
and Lykke Andersen visiting from the University of Aarhus in Denmark. We had available
a very useful data set organized by Eustaquio Reis from Rio de Janeiro and built
what seemed to be a useful model. The results were published in the book "The
Dynamics of Deforestation and Economics Growth in the Brazilian Amazon," by L.
Anderson, et al., Cambridge University Press, 2003. This was an enjoyable
and potentially important project from which I learnt a great deal.
As
a schoolboy, aged around ten and living in Cambridge, England, I decided I did
have a mild ambition, to see the year 2000. To achieve that I had to live to the
age of sixty-six. In 1944, when I thought about this, such an age was by no means
assured, many people did not make their mid-sixties. In 2000 Pat and I were living
in La Jolla, next to the UCSD campus and quite near the ocean, Mark and his wife
Kate were living in Sacramento in central California, and Claire was about to
move back to England.
In 2003 I decided to retire at
the age of almost 69 after about 48 years of teaching. I was willing to give up
my teaching and administrative duties in exchange for a reduced income and greater
freedom of movement. My retirement date was July 31, 2003 and my long-term colleague,
Rob Engle, retired from the department on the same day and moved permanently to
New York. Pat and I started a visit to Christchurch on the South Island of New
Zealand in that October. We greatly enjoy spending time in the Department of Economics
at the University of Canterbury where we receive a warm welcome. We particularly
like the spectacular Spring in the area.
Lucky break
#10
At 3:00 am on October 8, 2003 a telephone call from Sweden turned
our world upside down, and it will never return to normality. My colleagues at
Nottingham, San Diego, and Canterbury were greatly excited, as were we. It seems
all my lifetime friends, students, and acquaintances enjoyed the Prize as much
as I did, which was terrific.
My story ends with a recipe
for success. Do not start too high on the ladder, move to a good but not top university,
work hard, have a few good ideas, chose good collaborators (I had over eighty
in my career), attract some excellent students, wait twenty years or so, and then
retire. It worked for Rob and I.
Addendum
I have been asked if I consider myself to be naturally lucky. Certainly in my
career the breaks have fallen my way. Sometimes
I got a scholarship or an appointment
at the right time, or I fell into good situations and others, particularly Rob,
Hal, and Paul, accepted offers to join me. Even in general life I feel that I
am often fortunate, coming across useful information or scarce parking spaces.
I have never tried to use the ability by gambling but I do have friends who call
on my name when trying to find somewhere to park their car, and they say that
it works, even in Florence! I would like to thank my assistant, Mike Bacci, for
handling all of the work involved with the Nobel presentations and essays, and
much else.
From
Les Prix Nobel. The Nobel Prizes 2003, Editor Tore Frängsmyr, [Nobel
Foundation], Stockholm, 2004
This autobiography/biography was written at the time of the
award and later published in the book series Les Prix Nobel/Nobel Lectures.
The information is sometimes updated with an addendum submitted by the Laureate.
To cite this document, always state the source as shown above.